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Author:   Pierre Carpentier ,  Jean-Philippe Chancelier ,  Guy Cohen ,  Michel De Lara
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   Softcover reprint of the original 1st ed. 2015
Volume:   75
Dimensions:   Width: 15.50cm , Height: 2.00cm , Length: 23.50cm
Weight:   5.737kg
ISBN:  

9783319365152

ISBN 10:   3319365150
Pages:   362
Publication Date:   09 October 2016
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

​I Preliminaries.- 1.Issues and Problems in Decision Making under Uncertainty.- 2.Open-Loop Control: The Stochastic Gradient Method.- II Decision under Uncertainty and the Role of Information.- 3.Tools for Information Handling.- 4.Information and Stochastic Optimization Problems.- Optimality Conditions for SOC Problems.- III Discretization and Numerical Methods.- 6.Discretization Methodology for Problems with SIS.- 7.Numerical Algorithms.- IV Convergence Analysis.- 8.Convergence Issues in Stochastic Optimization.- V Advanced Topics.- 9.Multi-Agent Decision Problems.- Dual Effect for Multi-Agent Stochastic I-O Systems.- VI Appendices.- A. Basics in Analysis and Optimization.- B. Basics in Probability.- References.- Index.

Reviews

I consider the book as a guide to the different aspects of stochastic optimization and the most important motive for distinguishing it from other similar textbooks and monographs is a great emphasis put on the role of information. (Jerzy Ombach, zbMATH 1336.90066, 2016)

Author Information

Professor Pierre Carpentier’s primary research areas are Decomposition and Coordination for the Optimization of Large-Scale Systems in the stochastic framework, with a special interest in numerical methods. He is currently working at the applied mathematics unit UMA, ENSTA ParisTech, France. Professor J. Ph. Chancelier’s research contributions have been in the fields of Stochastic Optimization, Control and Computer Languages for Numerical Computations. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France. The main research contributions of Professor Guy Cohen have been in the theory of Decomposition and Coordination for the Optimization of Large-Scale Systems, in the development of a “linear” theory of a certain class of Discrete Event Systems based on the use of the so-called Max-Plus algebra, and more recently in numerical methods for Stochastic Optimal Control. He is currently a Researcher Emeritus. Professor Michel De Lara’s main theoretical research fields are control theory and stochastic control. With regard to applications, he specializes in developing mathematical methods for the sustainable management of natural resources, concentrating on renewable energy and biodiversity. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France.

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